Vix methodology

When market volatility spikes or stalls, financial websites, bloggers, social media, newspapers, and television commentators all refer to the VIX^®. Formally known as the Cboe Volatility Index, the VIX is a benchmark index designed specifically to track S&P 500 volatility.

Most investors familiar with the VIX commonly refer to it as the “fear gauge,” because it has become a proxy for market volatility.

The VIX was created by the Cboe Global Markets (Cboe), originally known as the Chicago Board Options Exchange, which bills itself as “the largest U.S.

options exchange and creator of listed options."

The Cboe runs a for-profit business selling (among other things) investments to sophisticated investors.

Vix futures calculation

These include hedge funds, professional money managers, and individuals that make investments seeking to profit from market volatility. To facilitate and encourage these investments, the Cboe developed the VIX, which tracks market volatility on a real-time basis.

While the math behind the calculation and the accompanying expla

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